“Understanding Relationships Using Copulas,” Edward Frees and Emiliano Valdez,January 1998

Abstract

The problem of how to fund a defined-benefit pension plan is detached from the problem of how the cost of such a plan should be recognized. An approach to funding based on the projection of aggregate cash flows and the explicit modeling of new entrants is presented. It is shown that commonly used funding methods can be derived from the cash-flow approach. A generalized funding method for a plan subject to a stationary distribution of new entrants is derived. It is concluded that plan actuaries might need to modify existing funding methods to incorporate useful information about the expected number and distribution of future entrants.     

Risk-adjusted credibility premiums using distorted probabilities

Abstract

Denneberg (1990) and Wang (1996a) propose that one calculate risk-adjusted insurance premiums as the expectation with respect to a distorted probability measure, a non-additive set function. This premium principle is supported by the theories of decision making of Yaari (1987) and of Schmeidler (1989). Denneberg (1994a) presents three conditioning rules for updating non-additive set functions in light of available information. In this work, we show how to apply these three update rules to calculate a risk-adjusted credibility premium and, thereby, combine credibility theory with this relatively new premium principle. Our main result is that, for some pairs of distortion function and update rule, one gets the same risk-adjusted credibility premium by distorting the predictive probability distribution, as required by the theory of Yaari, or by updating the distorted probability, as required by the theory of Schmeidler.     

An evaluation of the Investors in People Standard

The authors describe the Investors in People Standard and explain the process which organisations need to complete to gain the accolade Investor in People. A postal survey with 455 respondents is described and findings given. A total of 17 case studies were also conducted, as were seven interviews with key agencies in this field. The authors conclude that there is evidence of positive perception of the impact of human resource development (HRD) on organisational performance and that there is a common acceptance of certain strategies as best practice. There is also evidence that the adoption of a systematic process to adjusting training and development to business strategies results in a more normative commitment to employee development.     

Explicating Ethical Corporate Marketing. Insights from the BP Deepwater Horizon Catastrophe: The Ethical Brand that Exploded and then Imploded

Ethical corporate marketing—as an organisational-wide philosophy—transcends the domains of corporate social responsibility, business ethics, stakeholder theory and corporate marketing. This being said, ethical corporate marketing represents a logical development vis-a-vis the nascent domain of corporate marketing has an explicit ethical/CSR dimension and extends stakeholder theory by taking account of an institution’s past, present and (prospective) future stakeholders. In our article, we discuss, scrutinise and elaborate the notion of ethical corporate marketing. We argue that an ethical corporate marketing positioning is a prerequisite for corporations which claim to have an authentic ethical corporate identity. Our article expands and integrates extant scholarship vis-a-vis ethical corporate identities, the sustainable entrepreneur and corporate marketing. In delineating the breadth, significance, and challenges of ethical corporate marketing we make reference to the BP Deepwater Horizon (Gulf of Mexico) catastrophe of 2010.     

Combining VAR and DSGE forecast densities

A popular macroeconomic forecasting strategy utilizes many models to hedge against instabilities of unknown timing; see (among others) Stock and Watson (2004), Clark and McCracken (2010), and Jore et al. (2010). Existing studies of this forecasting strategy exclude dynamic stochastic general equilibrium (DSGE) models, despite the widespread use of these models by monetary policymakers. In this paper, we use the linear opinion pool to combine inflation forecast densities from many vector autoregressions (VARs) and a policymaking DSGE model. The DSGE receives a substantial weight in the pool (at short horizons) provided the VAR components exclude structural breaks. In this case, the inflation forecast densities exhibit calibration failure. Allowing for structural breaks in the VARs reduces the weight on the DSGE considerably, but produces well-calibrated forecast densities for inflation.     

Chinese host country nationals' willingness to help expatriates: The role of social categorization

In this study, we examine Chinese host country nationals' (HCNs') willingness to offer role information and social support to expatriates from the United States. Using data from 132 Chinese managers, we find that ethnocentrism, interpersonal affect, and guanxi significantly impact HCNs' willingness to offer help to expatriates. Furthermore, we find that the job level of the expatriate has a significant impact on HCNs' willingness to offer role information but not on willingness to offer social support. The results suggest that paying attention to the perceptions and reactions of HCNs toward expatriates is imperative for multinational companies if expatriates are to succeed on their assignments. ©2011 Wiley Periodicals, Inc.     

A note on participatory decision-making and rationality

This paper addresses a particular issue of institutional choice.It is concerned with one aspect of the argument for participatorydecision-making structures: how to make sense of the claim thatparticipation can raise productivity because it produces a changein motivation. The argument of the paper turns, first, on distinguishingbetween the rational choice account of behaviour and a norm-guidedone and, second, on the thought that participatory structuresgive scope for norm-guided behaviour to flourish in ways notfound in hierarchies.     

Catastrophe Risk Financing in the United States and the European Union: A Comparative Analysis of Alternative Regulatory Approaches

The regulation of insurance companies in the United States and the European Union (EU) continues to evolve in response to market forces and the changing nature of risk but with somewhat different philosophies and at different rates. One important area where both economic realities and markets are changing is catastrophe risk and its financing. This article examines and compares regulatory and other government policies in the United States and the EU generally and their approaches to the financing of catastrophe risk specifically. It is important to understand the fundamental differences between the two systems to gain insights into their disparate treatment of catastrophe risk financing. Although policies could be improved in both jurisdictions, we argue that the much greater reform is needed in the United States relative to the EU regulatory policies that are being developed. We offer recommendations on how U.S. policies could be significantly improved as well as comment on issues facing the EU. We conclude with some observations on the needs for further progress in the U.S. and EU regulatory systems.     

Do LGBT‐supportive corporate policies enhance firm performance?

Prior research provides evidence that lesbian, gay, bisexual, and transgender (LGBT)‐supportive corporate policies are related to important human resource functions, such as enhanced recruitment and retention. In addition, prior research indicates that investors view the adoption of such policies positively. We examine the firm‐performance mechanisms underlying favorable stock‐market reactions based on an integration of perspectives from corporate social responsibility and the business case for diversity. Specifically, we estimate a hierarchical linear model (HLM) to account for the nested nature of our data (firms nested within states) and find that (1) the presence of LGBT‐supportive policies is associated with higher firm value, productivity, and profitability; (2) the firm‐value and profitability benefits associated with LGBT‐supportive policies are larger for companies engaged in research and development (R&D) activities; and (3) the firm‐value and profitability benefits of LGBT‐supportive policies persist in the presence of state antidiscrimination laws. In supplemental analyses, we find that firms implementing (discontinuing) LGBT‐supportive policies experience increases (decreases) in firm value, productivity, and profitability. We are among the first to link LGBT‐supportive policies specifically to financial performance outcomes as well as to develop and test a multilevel model of these relationships. Our results have important implications for theory and research on LGBT issues in organizations, human resource managers, and policymakers.     

Natural Resource Contests and Precolonial Institutions in Papua New Guinea

This paper investigates the role that precolonial institutions play in relation to postcolonial natural resource ownership contests. Papua New Guinea provides a unique case study, as it is recorded as having the most decentralized precolonial political institutions of any postcolonial state. After an examination of its precolonial institutions, colonial land policy and three case studies, it is concluded that persistent highly decentralized customary political units, coupled with customary notions of inalienability of land and overlaid with a state property rights regime, lead to resource contests. It is concluded that resource ownership contests can have serious adverse consequences for resource management and that they are not easily overcome.